A comparison of some new and old robust ridge regression estimators

被引：24

作者：

Ali, Sajid ^{[1
]}

Khan, Himmad ^{[2
]}

Shah, Ismail ^{[1
]}

Butt, Muhammad Moeen ^{[3
]}

Suhail, Muhammad ^{[4
,5
]}

机构：

[1] Quaid I Azam Univ, Dept Stat, Islamabad 45320, Pakistan

[2] Govt Higher Secondary Sch Aboha, Swat, Pakistan

[3] Univ Management & Technol, Sch Business & Econ, Dept Quantitat Methods, Lahore, Pakistan

[4] Univ Punjab, Coll Stat & Actuarial Sci, Lahore, Pakistan

[5] Univ Agr, Dept Stat Math & Comp Sci, Peshawar, Khyber Pakhtunk, Pakistan

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2021年 / 50卷 / 08期

关键词：

Multicollinearity; Ridge regression; Monte Carlo Simulation; BIASED ESTIMATION; SIMULATION;

D O I：

10.1080/03610918.2019.1597119

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Ridge regression is used to circumvent the problem of multicollinearity among predictors and many estimators for ridge parameter are available in the literature. However, if the level of collinearity among predictors is high, the existing estimators also have high mean square errors (MSE). In this paper, we consider some existing and propose new estimators for the estimation of ridge parameter k. Extensive Monte Carlo simulations as well as a real-life example are used to evaluate the performance of proposed estimators based on the MSE criterion. The results show the superiority of our proposed estimators compared to the existing estimators.

引用

页码：2213 / 2231

页数：19

共 50 条

[21] ROBUST RIDGE ESTIMATORS
DEWET, AG
DEWET, T
SOUTH AFRICAN STATISTICAL JOURNAL, 1984, 18 (02) : 183 - 183
[22] Robust regression estimators: A comparison of prediction performance
Kalina, Jan
Pestova, Barbora
MATHEMATICAL METHODS IN ECONOMICS (MME 2017), 2017, : 307 - 312
[23] SOME THEORETICAL RESULTS FOR GENERALIZED RIDGE-REGRESSION ESTIMATORS
FOURGEAUD, C
GOURIEROUX, C
PRADEL, J
JOURNAL OF ECONOMETRICS, 1984, 25 (1-2) : 191 - 203
[24] Performance of some ridge regression estimators for the multinomial logit model
Mansson, Kristofer
Shukur, Ghazi
Kibria, B. M. Golam
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (12) : 2795 - 2804
[25] On some beta ridge regression estimators: method, simulation and application
Qasim, Muhammad
Mansson, Kristofer
Golam Kibria, B. M.
JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2021, 91 (09) : 1699 - 1712
[26] A note on some new modifications of ridge estimators
Asar, Yasin
Genc, Asir
KUWAIT JOURNAL OF SCIENCE, 2017, 44 (03) : 75 - 82
[27] Modified Ridge Regression Estimators
Khalaf, G.
Mansson, Kristofer
Shukur, Ghazi
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2013, 42 (08) : 1476 - 1487
[28] Modified Robust Ridge M-Estimators in Two-Parameter Ridge Regression Model
Yasin, Seyab
Salem, Sultan
Ayed, Hamdi
Kamal, Shahid
Suhail, Muhammad
Khan, Yousaf Ali
MATHEMATICAL PROBLEMS IN ENGINEERING, 2021, 2021
[29] New ridge parameter estimators for the quasi-Poisson ridge regression model
Shahzad, Aamir
Amin, Muhammad
Emam, Walid
Faisal, Muhammad
SCIENTIFIC REPORTS, 2024, 14 (01)
[30] SOME NEW ESTIMATORS FOR COX REGRESSION
SASIENI, P
ANNALS OF STATISTICS, 1993, 21 (04): : 1721 - 1759

← 1 2 3 4 5 →